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Ambient air pollution is a global environmental issue that affects human health. Ulaanbaatar (UB), the capital of Mongolia, is one of the most polluted cities in the world, and it is of great importance to study the temporal and spatial changes in air pollution in this city, along with their influencing factors. To understand the characteristics of atmospheric pollutants in UB, the contents of PM10, PM2.5, SO2, NO2, CO, and O3, as well as their influencing factors, were analyzed from data obtained from automatic air quality monitoring stations. These analyses yielded six major findings: (1) From 2016 to 2019, there was a total of 883 pollution days, and PM2.5 and PM10 were the primary pollutants on 553 and 351 of these days, respectively. The air pollution was dominated by PM10 in spring and summer, affected by both PM2.5 and PM10 in autumn, and dominated by PM2.5 in winter. (2) Compared with 2016, the number of days with good air quality in UB in 2019 increased by 45%, and the number of days with unhealthy or worse levels of pollution decreased by 56%, indicating that the air quality improved year by year. (3) From 2016 to 2019, the annual average PM2.5/PM10 ratio dropped from 0.55 to 0.45, and the proportion of PM2.5 in particulate matter decreased year by year. The PM concentration and PM2.5/PM10 ratio were highest in winter and lowest in summer. When comparing the four-season averages, the average PM2.5 concentration decreased by 89% from its highest level, and the PM10 concentration decreased by 67%, indicating stronger seasonal differences in PM2.5 than in PM10. (4) The hourly changes in PM concentration showed a bimodal pattern, exhibiting a decrease during the day and a slight increase in the afternoon due to temperature inversion, so the PM2.5/PM10 ratio increased at night in all four seasons. The PM concentration during the heating season was significantly higher than that in the non-heating season, indicating that coal-fired heating was the main cause of air pollution in UB. (5) Sand dust and soot were the two main types of pollution in UB. (6) Correlation analysis and linear fitting analysis showed that PM2.5 and PM10 caused by coal-firing had an important impact on air quality in UB. Coal combustion and vehicle emissions with SO2, NO2, and CO as factors made large contributions to PM2.5.